There are lots of things you can do with ZENworks, but there aren't specific policies that block webpages. That is usually up to your firewall. However, you can use ZENworks to push out group policies or registry settings that could effectively accomplish similar things.
For example..
Push out a hosts file with a MYSPACE.COM that points to 127.0.0.1
Pretty much, if there is a way to set a workstation to not allow certain websites, you can push out things to configure it as such.